I usually put towels down, but that's mostly because my sheets usually have patterns and I like to have a plain background when I take pics of it pinned. haha Lots of people just use the sheet and it's totally fine, I've done that too. Normally though, I block fingering weight or lace weight things, so they seem only slightly damp once I've rolled them in a towel and they dry within several hours.
I have blocked one thing in worsted weight, it was pieces of a large hooded cardigan sweater. I bought some foam pieces at Walmart in the craft section that are used to make seat cushions. I pin the small pieces to that or put two or more of the foam cushions next to each other to make a larger surface for larger pieces. It works great!